Multiperiod unexpected loss and credit risk pricing<\/p>\n
Franco Varetto<\/strong><\/p>\n CNR-IRCrES, Consiglio Nazionale delle Ricerche \u2013 Istituto di Ricerca sulla Crescita Economica Sostenibile, Italia<\/p>\n corresponding authors: francoww@tin.it<\/a><\/p>\n Abstract<\/strong><\/p>\n The banks\u2019 capital regulation is essentially static in nature and considers the regulatory requirement as the difference between two expected losses: the first is based on a stressed probability of default and the second is based on the expected probability of default. The framework defined in this paper considers the credit risk as the volatility of the discounted credit losses, that is coherent with the credit risk pricing. Nevertheless, there are some open questions in this framework, as the calibration of the capital requirement and the different kinds of correlations to be estimated.<\/p>\n Keywords<\/strong>: credit risk, expected loss, unexpected loss, credit pricing, Basel capital accord, banks\u2019 regulation.<\/p>\n JEL codes:<\/strong> C63, G21, G28, G32, G33<\/p>\n DOI:<\/strong> 10.23760\/2421-7158.2020.012<\/p>\n How to Cite this Article<\/strong><\/p>\n Varetto, F. (2020). Unexpected loss multiperiodale e pricing del rischio di credito <\/em>(CNR-IRCrES Working Paper 12\/2020). Istituto di Ricerca sulla Crescita Economica Sostenibile. Disponibile da http:\/\/dx.doi.org\/10.23760\/2421-7158.2020.012<\/a><\/p>\n","protected":false},"parent":0,"menu_order":0,"template":"","categoria-pubblicazioni":[40],"class_list":["post-2753","pubblicazione","type-pubblicazione","status-publish","hentry","categoria-pubblicazioni-working-paper"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/pubblicazione\/2753","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/pubblicazione"}],"about":[{"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/types\/pubblicazione"}],"version-history":[{"count":1,"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/pubblicazione\/2753\/revisions"}],"predecessor-version":[{"id":3616,"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/pubblicazione\/2753\/revisions\/3616"}],"wp:attachment":[{"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/media?parent=2753"}],"wp:term":[{"taxonomy":"categoria-pubblicazioni","embeddable":true,"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/categoria-pubblicazioni?post=2753"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}